On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes

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Title: On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes
Authors: Avram, F
Pistorius, MR
Item Type: Journal Article
Issue Date: 26-Aug-2014
Date of Acceptance: 13-Aug-2014
URI: http://hdl.handle.net/10044/1/23840
DOI: https://dx.doi.org/10.1016/j.insmatheco.2014.08.005
ISSN: 1873-5959
Publisher: Elsevier
Start Page: 57
End Page: 64
Journal / Book Title: Insurance: Mathematics and Economics
Volume: 59
Copyright Statement: © 2014, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Publication Status: Published
Appears in Collections:Financial Mathematics
Mathematics
Faculty of Natural Sciences



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